ESTX

A dataset that contains the daily financial data of the ESTX from
April 2007 to December 2021 (currency in EUR).

datasets

Enables the user to calculate Value at Risk (VaR) and Expected
Shortfall (ES) by means of various parametric and semiparametric
GARCH-type models. For the latter the estimation of the nonparametric scale
function is carried out by means of a data-driven smoothing approach. Model
quality, in terms of forecasting VaR and ES, can be assessed by means of
various backtesting methods such as the traffic light test for VaR and a
newly developed traffic light test for ES. The approaches implemented in
this package are described in e.g. Feng Y., Beran J., Letmathe S. and
Ghosh S. (2020) <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as
Letmathe S., Feng Y. and Uhde A. (2021)
<https://ideas.repec.org/p/pdn/ciepap/141.html>.

Sebastian Letmathe

ufRisk

Risk Measure Calculation in Financial TS

Yuanhua Feng

Xuehai Zhang

Christian Peitz

Dominik Schulz

Shujie Li

ESTX function

A data frame with 3697 rows and 10 variables:<dl>
 <dt>price.open</dt>
<dd>opening price (daily)</dd> <dt>price.high</dt>
<dd>highest price (daily)</dd> <dt>price.low</dt>
<dd>lowest price (daily)</dd> <dt>price.close</dt>
<dd>closing price (daily)</dd> <dt>volume</dt>
<dd>trading volume</dd> <dt>price.adjusted</dt>
<dd>adjusted closing price (daily)</dd> <dt>ref.date</dt>
<dd>date in format YY-MM-DD</dd> <dt>ticker</dt>
<dd>ticker symbol</dd> <dt>ret.adjusted.prices</dt>
<dd>returns obtained from the adjusted closing
 prices</dd> <dt>ret.closing.prices</dt>
<dd>returns obtained from the closing prices</dd>
</dl>

Format

EURO STOXX 50 (ESTX) Financial Time Series Data — ESTX

A data frame with 3697 rows and 10 variables:<dl>
 <dt>price.open</dt>
<dd>opening price (daily)</dd>

 <dt>price.high</dt>
<dd>highest price (daily)</dd>

 <dt>price.low</dt>
<dd>lowest price (daily)</dd>

 <dt>price.close</dt>
<dd>closing price (daily)</dd>

 <dt>volume</dt>
<dd>trading volume</dd>

 <dt>price.adjusted</dt>
<dd>adjusted closing price (daily)</dd>

 <dt>ref.date</dt>
<dd>date in format YY-MM-DD</dd>

 <dt>ticker</dt>
<dd>ticker symbol</dd>

 <dt>ret.adjusted.prices</dt>
<dd>returns obtained from the adjusted closing
 prices</dd>

 <dt>ret.closing.prices</dt>
<dd>returns obtained from the closing prices</dd>


</dl>

ESTX: EURO STOXX 50 (ESTX) Financial Time Series Data

Description

Usage

Arguments

Format